Asymptotic behavior of infinite dimensional stochastic differential equations by anticipative variation of constants formula (Q5955598): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
Normalize DOI.
Property / DOI
 
Property / DOI: 10.1007/s00245-001-0020-z / rank
Normal rank
 
Property / DOI
 
Property / DOI: 10.1007/S00245-001-0020-Z / rank
 
Normal rank

Revision as of 14:54, 8 December 2024

scientific article; zbMATH DE number 1705588
Language Label Description Also known as
English
Asymptotic behavior of infinite dimensional stochastic differential equations by anticipative variation of constants formula
scientific article; zbMATH DE number 1705588

    Statements

    Asymptotic behavior of infinite dimensional stochastic differential equations by anticipative variation of constants formula (English)
    0 references
    0 references
    0 references
    14 February 2002
    0 references
    Given two infinite-dimensional Hilbert spaces \(H\), \(K\), a generator \(A\) of a continuous semigroup in \(H\), a linear map \(B: H\to{\mathcal L}_2(K, H)\) and a Lipschitz function \(D: H\to{\mathcal L}_2(K, H)\), the authors study the long time behavior of the infinite-dimensional evolution equation \(dY_t= AY_t dt+ BY_t dW_t+ D(Y_t) dW_t\), \(t\geq s\), \(Y_s= x\in H\). New estimates on the operator associating adapted processes \(\psi\) to the solution \(\zeta\) of the above equation with \(D(Y_t)\) replaced by \(\psi\) and \(\zeta_0= 0\), are developed. They are based on a stochastic variation of constants formula established by \textit{S. Bonaccorsi} [Stochastic Anal. Appl. 17, No. 4, 509-528 (1999; Zbl 0947.60067)] for infinite-dimensional equations and involving a Skorokhod anticipative integral. Such estimates, under the assumption of mean-square stability for the linear part of the equation, lead directly to sufficient conditions for the exponential stability of the problem. It is proved that, under suitable conditions, the equation has a unique invariant measure that is strongly mixing. The paper is completed by some interesting examples.
    0 references
    infinite-dimensional stochastic evolution equation
    0 references
    Skorokhod integral
    0 references
    Malliavin calculus
    0 references
    mean-square stability
    0 references
    invariant measure
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references